Shenzhen to Guangzhou: you can go by bus or train, bullet trains are faster (about one hour only), while the ticket is higher. Guangzhou to Zhuhai Gongbei by bus first and then pass the Gongbei Border, you will enter Macau. The easiest way from Macau to Hong Kong is by ferry through the HK-Macau Ferry Terminal. You can spend more days in Hong kong and Macau. Budget hotels we usually choose are Jinjiang Inn, Rujia and similar ones. Those are chain hotels can be find in shopping area in Shenzhen and Hong Kong. Not clear about Hong Kong and Macau hotels.